bigtime: Sparse Estimation of Large Time Series Models

Estimation of large Vector AutoRegressive (VAR), Vector AutoRegressive with Exogenous Variables X (VARX) and Vector AutoRegressive Moving Average (VARMA) Models with Structured Lasso Penalties, see Nicholson, Wilms, Bien and Matteson (2020) <https://jmlr.org/papers/v21/19-777.html> and Wilms, Basu, Bien and Matteson (2021) <doi:10.1080/01621459.2021.1942013>.

Version:	0.2.3
Depends:	R (≥ 3.6.0), methods
Imports:	Rcpp (≥ 1.0.7), stats, utils, grDevices, graphics, corrplot, dplyr, ggplot2, tidyr, magrittr
LinkingTo:	Rcpp, RcppArmadillo, RcppEigen
Published:	2023-08-21
DOI:	10.32614/CRAN.package.bigtime
Author:	Ines Wilms [cre, aut], David S. Matteson [aut], Jacob Bien [aut], Sumanta Basu [aut], Will Nicholson [aut], Enrico Wegner [aut]
Maintainer:	Ines Wilms <i.wilms at maastrichtuniversity.nl>
License:	GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL:	https://github.com/ineswilms/bigtime
NeedsCompilation:	yes
Materials:	README, NEWS
In views:	TimeSeries
CRAN checks:	bigtime results

Documentation:

Reference manual:

bigtime.html , bigtime.pdf

Downloads:

Package source:	bigtime_0.2.3.tar.gz
Windows binaries:	r-devel: bigtime_0.2.3.zip, r-release: bigtime_0.2.3.zip, r-oldrel: bigtime_0.2.3.zip
macOS binaries:	r-release (arm64): bigtime_0.2.3.tgz, r-oldrel (arm64): bigtime_0.2.3.tgz, r-release (x86_64): bigtime_0.2.3.tgz, r-oldrel (x86_64): bigtime_0.2.3.tgz
Old sources:	bigtime archive

Linking:

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